𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Short-sale constraints and efficiency of the spot–futures dynamics

✍ Scribed by David G. McMillan; Dennis Philip

Book ID
119263058
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
288 KB
Volume
24
Category
Article
ISSN
1057-5219

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Mispricing of index futures contracts an
Mispricing of index futures contracts and short sales constraints
✍ Fung, Joseph K. W.; Draper, Paul 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 227 KB

This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong Kong Hang Seng Index futures contracts. Tests are conducted over three distinct regulatory regimes relating to th

Efficiency of the IBEX spot–futures basi
Efficiency of the IBEX spot–futures basis: The impact of the mini-futures
✍ David G. McMillan; Raquel Quiroga Garcia 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 304 KB

## Abstract This paper considers whether the introduction of the mini‐futures contract for the Spanish Ibex index affects overall market efficiency. Using linear, non‐linear, and fractional integration modeling techniques for the basis term, results of this study suggest the following salient point

Futures trading, spot market volatility,
Futures trading, spot market volatility, and market efficiency: The case of the Korean index futures markets
✍ Bae, Sung C. (author);Kwon, Taek Ho (author);Park, Jong Won (author) 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB 👁 2 views

## Abstract We examine the effect of the introduction of index futures trading in the Korean markets on spot price volatility and market efficiency of the underlying KOSPI 200 stocks, relative to the carefully matched non‐KOSPI 200 stocks. Employing both an event study approach and a matching‐sampl